Bullet physics compound shape
Instead of directly messing with the Physics parameters, this situation is way easier to handle with ordinary mesh tools.

You can merge your three objects by using the Boolean modifier. First, select only one of your objects, then go to the Properties>Modifiers menu and select the Boolean modifier. In the modifier options, for 'Operation' select 'Union' and for 'Object', select one of your other objects. If you then hit 'Apply', your first object will now have the overall shape of those two objects merged.

If you have three objects, you'll need to do this twice (because the Boolean modifier only operates on two at a time).

Also note that the modifier will leave the original copies of the objects in addition to the new, merged version, so at the end, make sure to delete the original objects.

Then, in the Physics panel, select 'Mesh' as your collision bounds.